Credit Risk: Theory and Models

摘要：

We briefly review the risks involved in a credit portfolio, and further detail the most commonly used approaches to the dependence between defaults as far as the computation of loss distributions is involved. Such as structure model and intensity model. Then we discuss the case loosening the homogeneous assumption and a model about the computation of aggregate loss distribution under this context.

关键词： credit risk loss distributions individual model gaussian copula factor models

作者: WANG Qingshi ZHU Tianxing

作者单位: Department of Quantitative Economics of Dongbei University of Finance and Economics, Dalian, China, Department of Quantitative Economics of Dongbei University of Finance and Economics, Dalian, China,

会议类型: 国际会议

会议名称: The 1st International Conference on Financial Risk and Corporate Financial Management(第一届金融风险与公司财务管理国际研讨会)

会议地点: 大连

会议语种:英文

页码: 1-4

在线出版日期: 2009-06-29（万方平台首次上网日期，不代表论文的发表时间）